After some Excel VBA coding I just finished my bonds database. It has daily yields, prices and inflation forecast from Anbima and NTN-B indexed notional from Brazilian National Treasury Secretariat.

I still need to make a yield curve bootstrapper, which will be based on QuantLib framework. This should be one of the biggest challenges, after econometrics text, of this thesis. The yield curves used in QuantLib test suite never worked when I tried to use Brazilian Bonds. 🙁